Yingzi Zhu

Tsinghua University - School of Economics & Management

Associate Professor

Beijing, 100084

China

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 948

SSRN RANKINGS

Top 948

in Total Papers Downloads

21,752

CITATIONS
Rank 10,545

SSRN RANKINGS

Top 10,545

in Total Papers Citations

40

Scholarly Papers (15)

1.

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 4,265 (865)

Abstract:

Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

2.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - Olin School of Business
Downloads 3,095 (2,364)
Citation 1

Abstract:

Technical analysis, trading rules, asset allocation, predictability, learning

3.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 2,640 (1,476)

Abstract:

Momentum, crashes, downside risk, stop-loss orders

4.

An E-ARCH Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997
Marco Avellaneda and Yingzi Zhu
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads 2,514 (3,592)
Citation 10

Abstract:

5.

Variance Term Structure and VIX Futures Pricing

Number of pages: 24 Posted: 25 Apr 2005
Yingzi Zhu and Jin E. Zhang
Tsinghua University - School of Economics & Management and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 1,907 (5,336)
Citation 11

Abstract:

Stochastic volatility, variance term structure, arbitrage-free model, volatility derivatives, VIX futures

6.

Macroeconomic Volatilities and Long-Run Risks of Asset Prices

Number of pages: 38 Posted: 13 May 2009 Last Revised: 18 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 958 (18,103)
Citation 9

Abstract:

Long-run Risk, Equity Risk Premium, Predictability, Variance Risk Premium

7.

Volatility Components: Evidence from VIX Futures Market

Number of pages: 33 Posted: 23 Sep 2008
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Banking and Finance and Tsinghua University - School of Economics & Management
Downloads 556 (35,768)
Citation 1

Abstract:

VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

8.

Why is the Recent Financial Crisis a ''Once-In-A-Century' Event?

Number of pages: 9 Posted: 27 Aug 2009
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 509 (42,566)
Citation 2

Abstract:

financial crisis, Once-in-a-Century event, drawndown probability

9.

Volatility Components: The Term Structure Dynamics of VIX Futures

Journal of Futures Markets, Vol. 30, No. 3, pp. 230 - 256, April 2009
Number of pages: 33 Posted: 04 May 2010
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Banking and Finance and Tsinghua University - School of Economics & Management
Downloads 471 (40,659)
Citation 3

Abstract:

VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

10.

A Theory of Technical Trading Using Moving Averages

Number of pages: 45 Posted: 17 Sep 2013 Last Revised: 23 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 457 (26,700)

Abstract:

Technical analysis, trend-following, asymmetric information

11.

Volatility Trading: What is the Role of the Long-Run Volatility Component?

Number of pages: 49 Posted: 28 Apr 2010 Last Revised: 14 Dec 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 414 (46,055)
Citation 3

Abstract:

Volatility Trading, Asset Allocation, Long-run Volatility

12.

Are Investors Irrational? - Study on China Warrant Market

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 24 Posted: 21 Jan 2013
Yintian Wang and Yingzi Zhu
Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 72 (226,260)

Abstract:

Warrant bubble, hedging motivation, rational speculation, put-call parity

13.

The Chinese Warrant Bubble: A Fundamental Analysis

Number of pages: 39 Posted: 11 Aug 2016
Yintian Wang, Guofu Zhou and Yingzi Zhu
Tsinghua University, Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management
Downloads 0 (288,037)

Abstract:

Warrant bubble, short-selling and margin constraints, put-call parity

14.

Perspectives: Is the Recent Financial Crisis Really a 'Once-in-A-Century' Event?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - Olin School of Business and Tsinghua University - School of Economics & Management

Abstract:

Investment Theory, CAPM, APT, Pricing Theories, Risk Measurement and Management, Financial Markets

15.

VIX Futures

Journal of Futures Markets, Vol. 26, No. 6, pp. 521-531
Posted: 29 Aug 2005
Jin E. Zhang and Yingzi Zhu
University of Otago, Otago Business School, Department of Accountancy and Finance and Tsinghua University - School of Economics & Management

Abstract:

VIX, VIX futures, square root process

Other Papers (1)

Total Downloads: 52    Citations: 0
1.

Dynamic Volatility Strategy with Recursive Utility

Number of pages: 38 Posted: 13 Mar 2006
Yingzi Zhu
Tsinghua University - School of Economics & Management
Downloads 41

Abstract:

Portfolio Choice, Recursive Utility, Martingale Approach, Stochastic Volatility